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please help me with question 2b the financial Mathematics under geometric Brownian Motion at a randomly chosen student has dis ICM U Q.2a Discuss the
please help me with question 2b the financial Mathematics under geometric Brownian Motion
at a randomly chosen student has dis ICM U Q.2a Discuss the difference between Brownian motion and geometric Brownian motion Suppose that Syy 20, is a geometric Brownian motion with drift parameter i = 0.02 und volatility parameter o = 0.45. If S(0) = 40, find Els(12)). Calculate the value F's(12) if Stu). 20. represents only a Brownian motion (keep other parameters vamo), [2+6 Q.2b Let Sit), 120 be a geometric Browninn motion process with drift parameter ji = 0.1 and volatility parameter o=02. Find (a) P(S(1) > S(0)). (b) P(S(2) > 501) > S(0). (c) P{$(3) S(0) 15 Use the property of Brownian motion that increments over non-overlapping time intervals are independent) Q.3a What is the relation between present value and future value of an investment Suppos that Vyacheslav Shevchenko puts some funds in the FLB (First Local Bank) at the interes at a randomly chosen student has dis ICM U Q.2a Discuss the difference between Brownian motion and geometric Brownian motion Suppose that Syy 20, is a geometric Brownian motion with drift parameter i = 0.02 und volatility parameter o = 0.45. If S(0) = 40, find Els(12)). Calculate the value F's(12) if Stu). 20. represents only a Brownian motion (keep other parameters vamo), [2+6 Q.2b Let Sit), 120 be a geometric Browninn motion process with drift parameter ji = 0.1 and volatility parameter o=02. Find (a) P(S(1) > S(0)). (b) P(S(2) > 501) > S(0). (c) P{$(3) S(0) 15 Use the property of Brownian motion that increments over non-overlapping time intervals are independent) Q.3a What is the relation between present value and future value of an investment Suppos that Vyacheslav Shevchenko puts some funds in the FLB (First Local Bank) at the interesStep by Step Solution
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